Time-varying inflation risk and stock returns
We show that inflation risk is priced in stock returns and that inflation risk premia in the cross-section and the aggregate market vary over time, even changing sign as in the early 2000s. This time variation is due to both price and quantities of inflation risk changing over time. Using a consumpt...
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| Outros Autores: | , , |
| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2019
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| Assuntos: | |
| Texto completo: | https://doi.org/10.1016/j.jfineco.2019.09.012 |
| País: | Portugal |
| Oai: | oai:run.unl.pt:10362/88704 |